Testování slabé formy efektivnosti na akciových trzích v zemích střední Evropy a USA

Abstract

This thesis is developed to testing of the weak form of efficiency in stock markets of central Europe and USA. Thesis is focused on testing of efficiency on Czech, polish and American stock market. The main purpose is an empirical testing of the weak form of the efficient market hypothesis of the selected stock indexes in countries of middle Europe and USA in the period from 2004 to 2010 using linear and nonlinear methods. Index PX, WIG20 and SP500 were selected as representatives of analyzed stock markets. Based on the selected data in the form of the logarithms of daily returns was divided into four time periods. The time series were performed basic statistical analysis and then have been tested by linear and nonlinear models of testing of the weak form stock market hypothesis. There is a summary of results in the end of the thesis.